The file Fig2.nb contains Mathematica code to generate Figure 2

The file Fig3.xlsx contains the summary data for Figure 3 

The file Fig4.xlsx contains the summary data for Figure 4 

The file Code.do contains the code used to generate the tables. Due to contractual aggreements with our data vendors, we cannot provide the exact data.  
The file "PseudoData.xlsx" contains 100 observations of the study's sample for the readers to better understand the data format used to execute the code.  
Note that the resulting output using the pseudo data is meaningless.  

The code for computing the Bid-Ask spreads based on the methodology of Corwin and Schultz (2012) was obtain from https://sites.nd.edu/scorwin/files/2019/12/Sample-SAS-Program.pdf
